Factor Calculation for Factor Investment Model

hersheythings·2021년 8월 27일
0

Finance

목록 보기
2/3
post-thumbnail

Factor Calculation

1. BM Ratios

Book to Market

  • CommonShareholdersEquity/MarketCapCommon\,Shareholders'\,Equity\,/\,Market\,Cap

2. EP Ratios

PER

  • PriceperShare/EPS=MarketCap/NetIncomePrice\,per\,Share\,/EPS=Market\,Cap\,/Net\,Income

PBR

  • PriceperShare/BPS=MarketCap/TotalEquityPrice\,per\,Share\,/\,BPS=Market\,Cap\,/\,Total \,Equity

PSR

  • PriceperShare/SPS=MarketCap/SalesPrice\,per\,Share\,/\,SPS=Market\,Cap\,/\,Sales

EV/EBITDA

  • EnterpriseValue/EBITDA=(EquityValue+NetDebt)/EBITDAEnterprise\,Value\,/\,EBITDA = (Equity\,Value + Net\, Debt)/EBITDA

ROE (Return on Equity)

  • NetIncome/TotalEquityNet\,Income\,/\,Total\,Equity

ROA (Return on Asset)

  • NetIncome/TotalAssetNet\,Income\,/\,Total\,Asset

Gross Profit Ratio

  • GrossProfit/Sales=(SalesCOGS)/SalesGross\,Profit\,/\,Sales=(Sales-COGS)/Sales

where COGS stands for Cost of Goods Sold

ROTC (Return on Total Capital)

  • NOPAT/TotalCapital=EBIT(1t)/TotalCapitalNOPAT\,/\,Total\,Capital = EBIT(1-t)\,/\,Total\,Capital

분자의 경우, EBIT를 써도 무방

ROIC (Return on Invested Capital)

  • NOPAT/InvestedCapital=EBIT(1t)/InvestedCapitalNOPAT\,/\,Invested\,Capital=EBIT(1-t)\,/\,Invested\,Capital

분자의 경우, EBIT를 써도 무방

RNOA (Return on Net Operating Asset)

  • NetIncome/NOA=NetIncome/(OperatingAssetOperatingLiabilities)=OperatingAssets(TotalLiabilitiesIBD)Net\,Income/NOA\,=\,Net\,Income\,/(Operating\,Asset - Operating\,Liabilities)\,=\,Operating\,Assets - (Total\, Liabilities - IBD)

where IBD stands for "Interest Bearing Debts (LTD + STD)"

profile
Road to Engineering & Science | data newbie

0개의 댓글